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Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946 / David le Bris, William N. Goetzmann, Sébastien Pouget.
- Format:
- Book
- Author/Creator:
- Bris, David le.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w20199.
- NBER working paper series no. w20199
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Testing Asset Pricing Theory on Six Hundred Years of Stock Returns
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2014.
- Summary:
- We use the Bazacle company of Toulouse's unique historical experience as a laboratory to test asset pricing theory. The Bazacle company is the earliest documented shareholding corporation. Founded in 1372 and nationalized in 1946, it was a grain milling firm for most of its 600 year history. We collect share prices and dividends over its entire lifespan. The average dividend yield in real terms was slightly in excess of is 5% per annum, while the long-term price growth was near zero.
- The company's unique full-payout dividend policy allows us to estimate an asset pricing model with fundamentally persistent dividends and a time-varying risk correction. The model is not rejected by the data. Variations in expected future dividends are found to explain between one-sixth and one-third of variations in prices. Moreover, the risk correction is correlated with macroeconomic shocks, in particular with the volatility of grain prices.
- Notes:
- Print version record
- June 2014.
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